backtester: Fix ensureOrderFitsWithinHLV (thrasher-corp#1338)

Co-authored-by: xiaoniu <[email protected]>
gbjk · Sep 11, 2023 · bc26c53 · bc26c53
1 parent c9040a8
commit bc26c53
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Showing 2 changed files with 5 additions and 9 deletions.
diff --git a/backtester/eventhandlers/exchange/exchange.go b/backtester/eventhandlers/exchange/exchange.go
@@ -439,20 +439,16 @@ func ensureOrderFitsWithinHLV(price, amount, high, low, volume decimal.Decimal)
 	if adjustedPrice.GreaterThan(high) {
 		adjustedPrice = high
 	}
-	orderVolume := amount.Mul(adjustedPrice)
-	if volume.LessThanOrEqual(decimal.Zero) || orderVolume.LessThanOrEqual(volume) {
+	if volume.LessThanOrEqual(decimal.Zero) || amount.LessThanOrEqual(volume) {
 		return adjustedPrice, amount
 	}
-	if orderVolume.GreaterThan(volume) {
+	if amount.GreaterThan(volume) {
 		// reduce the volume to not exceed the total volume of the candle
 		// it is slightly less than the total to still allow for the illusion
 		// that open high low close values are valid with the remaining volume
 		// this is very opinionated
-		orderVolume = volume.Mul(decimal.NewFromFloat(0.99999999))
+		adjustedAmount = volume.Mul(decimal.NewFromFloat(0.99999999))
 	}
-	// extract the amount from the adjusted volume
-	adjustedAmount = orderVolume.Div(adjustedPrice)
-
 	return adjustedPrice, adjustedAmount
 }
 

diff --git a/backtester/eventhandlers/exchange/exchange_test.go b/backtester/eventhandlers/exchange/exchange_test.go
@@ -152,15 +152,15 @@ func TestSetCurrency(t *testing.T) {
 
 func TestEnsureOrderFitsWithinHLV(t *testing.T) {
 	t.Parallel()
-	adjustedPrice, adjustedAmount := ensureOrderFitsWithinHLV(decimal.NewFromInt(123), decimal.NewFromInt(1), decimal.NewFromInt(100), decimal.NewFromInt(99), decimal.NewFromInt(100))
+	adjustedPrice, adjustedAmount := ensureOrderFitsWithinHLV(decimal.NewFromInt(123), decimal.NewFromInt(1), decimal.NewFromInt(100), decimal.NewFromInt(99), decimal.NewFromInt(10))
 	if !adjustedAmount.Equal(decimal.NewFromInt(1)) {
 		t.Error("expected 1")
 	}
 	if !adjustedPrice.Equal(decimal.NewFromInt(100)) {
 		t.Error("expected 100")
 	}
 
-	adjustedPrice, adjustedAmount = ensureOrderFitsWithinHLV(decimal.NewFromInt(123), decimal.NewFromInt(1), decimal.NewFromInt(100), decimal.NewFromInt(99), decimal.NewFromInt(80))
+	adjustedPrice, adjustedAmount = ensureOrderFitsWithinHLV(decimal.NewFromInt(123), decimal.NewFromInt(1), decimal.NewFromInt(100), decimal.NewFromInt(99), decimal.NewFromFloat(0.8))
 	if !adjustedAmount.Equal(decimal.NewFromFloat(0.799999992)) {
 		t.Errorf("received: %v, expected: %v", adjustedAmount, decimal.NewFromFloat(0.799999992))
 	}